Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0079 |
| Annualized Std Dev | 0.2690 |
| Annualized Sharpe (Rf=0%) | -0.0293 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3181.0000 |
| NAs | 1.0000 |
| Minimum | -0.1853 |
| Quartile 1 | -0.0057 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1457 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0169 |
| Skewness | -0.3838 |
| Kurtosis | 18.9505 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0123 |
| Gain Deviation | 0.0130 |
| Loss Deviation | 0.0144 |
| Downside Deviation (MAR=210%) | 0.0165 |
| Downside Deviation (Rf=0%) | 0.0122 |
| Downside Deviation (0%) | 0.0122 |
| Maximum Drawdown | 0.7046 |
| Historical VaR (95%) | -0.0226 |
| Historical ES (95%) | -0.0414 |
| Modified VaR (95%) | -0.0231 |
| Modified ES (95%) | -0.0231 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-19 | 2009-03-09 | 2020-02-12 | -0.7046 | 2899 | 172 | 2727 |
| 2020-02-24 | 2020-03-23 | NA | -0.5066 | 272 | 21 | NA |
| 2020-02-18 | 2020-02-19 | 2020-02-21 | -0.0131 | 4 | 2 | 2 |
| 2008-05-13 | 2008-05-13 | 2008-05-14 | -0.0018 | 2 | 1 | 1 |
| 2008-05-15 | 2008-05-15 | 2008-05-16 | -0.0010 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | 0.5 | -2 | -1.1 | 1.2 | -0.7 | 4.6 | -11.1 | 1.5 | -7.6 |
| 2009 | -3.4 | -0.2 | 3.8 | -0.7 | 4.9 | -3 | -1.2 | -3.2 | -3.7 | -2.3 | 5.1 | 0.5 | -3.8 |
| 2010 | 1.5 | 1.2 | 0.4 | -1.6 | -1.9 | 0.5 | 0 | 2.9 | 1.1 | 0.7 | 1.6 | 0.5 | 7 |
| 2011 | 1 | -1.7 | 0.6 | -0.2 | -2.2 | 1.4 | -0.7 | -1.4 | -1.8 | -2.6 | -0.4 | 0.1 | -7.6 |
| 2012 | 1.4 | 0.5 | 1.5 | 0.7 | -2.3 | 2.8 | 0.1 | 0.8 | -0.5 | 0.6 | 0.2 | 0.5 | 6.3 |
| 2013 | 0.3 | 0.6 | -1.1 | -0.3 | -1.5 | -0.3 | 0.1 | -0.4 | 1 | 0.3 | -0.4 | -0.1 | -1.8 |
| 2014 | -0.5 | 0.5 | 0.2 | 0.1 | 0.7 | 0.6 | -0.2 | 0.2 | -0.3 | 2.5 | -0.5 | -1.2 | 2 |
| 2015 | -1.8 | 0.1 | 0.3 | 0.3 | -0.1 | 0.7 | 1 | -2.9 | 0.3 | -0.1 | 1.6 | -1.4 | -2.1 |
| 2016 | 1.1 | 2.8 | -0.9 | -0.8 | -0.3 | 0.7 | -0.1 | -0.3 | -0.1 | -0.8 | -1.3 | 1.2 | 1.1 |
| 2017 | -0.7 | 0.2 | 0.6 | 0.3 | 0.8 | 0.1 | 0.8 | -0.3 | 0.6 | 0.6 | -0.1 | -0.1 | 2.8 |
| 2018 | -1.2 | -1.1 | 0.8 | 0.7 | 0.9 | 0.5 | 0 | 0.1 | -0.5 | 0.4 | 0.4 | -0.7 | 0.2 |
| 2019 | -0.7 | 0 | 0.2 | -0.3 | 0.4 | -0.1 | -0.7 | -0.4 | -1 | 0.5 | -0.6 | 0.9 | -1.7 |
| 2020 | -1.5 | -4.2 | -8.3 | -4.9 | 2.8 | 1.6 | -1 | -1 | 2.5 | -0.9 | 1.9 | 0.6 | -12.3 |
| 2021 | 1.7 | 0.8 | -1.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
